Trading Strategy
|
2021 |
2022 |
2021-2022 |
2023 |
| return |
109.56% |
-46.63% |
56.13% |
1.79% |
| volatility |
2.84% |
2.54% |
2.79% |
0.24% |
| annualized sharpe ratio |
0.27 |
-1.08 |
0.4 |
22.86 |
| accuracy strategy |
52.4% |
53.55% |
52.79% |
52.08% |
| accuracy signals |
53.2% |
53.55% |
52.79% |
54.86% |
| better arms |
99.55% |
74.06% |
32.31% |
35.42% |
| difference from ATH |
-19.18% |
-55.1% |
-56.11% |
0.0% |
| maximum daily gain |
11.35% |
8.24% |
20.97% |
0.54% |
| maximum daily loss |
-11.73% |
-15.38% |
-24.77% |
-0.03% |
| mean monthly return |
0.75% |
-4.33% |
1.49% |
NaN |
| best monthly return |
19.65% |
10.48% |
30.86% |
NaN |
| worst month return |
-20.45% |
-32.59% |
-32.59% |
NaN |
| % time in |
47.33% |
51.76% |
47.26% |
40.97% |
| % buy |
47.33% |
51.76% |
47.26% |
40.97% |
| % hold |
0.0% |
0.0% |
0.0% |
0.0% |
| % sell |
52.67% |
48.24% |
52.74% |
59.03% |
Low Exposure Strategy
|
2021 |
2022 |
2021-2022 |
2023 |
| return |
40.63% |
-8.28% |
118.32% |
2.48% |
| volatility |
2.92% |
2.52% |
2.87% |
0.43% |
| annualized sharpe ratio |
1.01 |
0.03 |
0.52 |
17.89 |
| accuracy strategy |
52.4% |
51.54% |
50.5% |
52.08% |
| accuracy signals |
53.2% |
53.55% |
52.79% |
54.86% |
| better arms |
100.0% |
96.89% |
59.08% |
84.03% |
| difference from ATH |
-17.61% |
-14.21% |
-22.57% |
-0.05% |
| maximum daily gain |
11.35% |
8.55% |
19.53% |
1.05% |
| maximum daily loss |
-14.38% |
-15.38% |
-37.77% |
-0.1% |
| mean monthly return |
4.15% |
-0.32% |
1.76% |
NaN |
| best monthly return |
22.73% |
13.96% |
33.22% |
NaN |
| worst month return |
-15.79% |
-17.52% |
-28.34% |
NaN |
| % time in |
44.89% |
54.11% |
48.07% |
100.0% |
| % buy |
21.3% |
17.37% |
17.64% |
0.0% |
| % hold |
54.92% |
68.52% |
63.84% |
100.0% |
| % sell |
23.78% |
14.11% |
18.51% |
0.0% |
High Exposure Strategy
|
2021 |
2022 |
2021-2022 |
2023 |
| return |
34.08% |
-23.38% |
131.42% |
2.48% |
| volatility |
3.27% |
2.71% |
3.09% |
0.43% |
| annualized sharpe ratio |
1.33 |
-0.29 |
0.54 |
17.89 |
| accuracy strategy |
52.08% |
51.55% |
50.37% |
52.08% |
| accuracy signals |
53.2% |
53.55% |
52.79% |
54.86% |
| better arms |
100.0% |
98.73% |
70.12% |
86.81% |
| difference from ATH |
-11.02% |
-28.43% |
-30.14% |
-0.05% |
| maximum daily gain |
14.78% |
9.41% |
21.2% |
1.05% |
| maximum daily loss |
-14.38% |
-15.38% |
-37.77% |
-0.1% |
| mean monthly return |
6.5% |
-1.51% |
2.08% |
NaN |
| best monthly return |
34.8% |
21.6% |
34.8% |
NaN |
| worst month return |
-18.61% |
-20.86% |
-33.32% |
NaN |
| % time in |
51.71% |
59.94% |
54.63% |
100.0% |
| % buy |
21.3% |
17.37% |
17.64% |
0.0% |
| % hold |
60.06% |
71.99% |
67.92% |
100.0% |
| % sell |
18.64% |
10.64% |
14.44% |
0.0% |
Return and Volatility
|
|
1 |
2 |
3 |
4 |
5 |
6 |
7 |
8 |
9 |
10 |
11 |
12 |
13 |
14 |
15 |
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17 |
18 |
19 |
20 |
21 |
22 |
23 |
24 |
25 |
26 |
27 |
28 |
29 |
30 |
31 |
32 |
33 |
34 |
35 |
36 |
37 |
38 |
39 |
40 |
41 |
42 |
43 |
44 |
45 |
46 |
47 |
48 |
49 |
50 |
51 |
52 |
53 |
54 |
55 |
56 |
57 |
58 |
59 |
60 |
61 |
62 |
63 |
64 |
65 |
| StartTime |
|
2017-08-31 |
2017-09-30 |
2017-10-31 |
2017-11-30 |
2017-12-31 |
2018-01-31 |
2018-02-28 |
2018-03-31 |
2018-04-30 |
2018-05-31 |
2018-06-30 |
2018-07-31 |
2018-08-31 |
2018-09-30 |
2018-10-31 |
2018-11-30 |
2018-12-31 |
2019-01-31 |
2019-02-28 |
2019-03-31 |
2019-04-30 |
2019-05-31 |
2019-06-30 |
2019-07-31 |
2019-08-31 |
2019-09-30 |
2019-10-31 |
2019-11-30 |
2019-12-31 |
2020-01-31 |
2020-02-29 |
2020-03-31 |
2020-04-30 |
2020-05-31 |
2020-06-30 |
2020-07-31 |
2020-08-31 |
2020-09-30 |
2020-10-31 |
2020-11-30 |
2020-12-31 |
2021-01-31 |
2021-02-28 |
2021-03-31 |
2021-04-30 |
2021-05-31 |
2021-06-30 |
2021-07-31 |
2021-08-31 |
2021-09-30 |
2021-10-31 |
2021-11-30 |
2021-12-31 |
2022-01-31 |
2022-02-28 |
2022-03-31 |
2022-04-30 |
2022-05-31 |
2022-06-30 |
2022-07-31 |
2022-08-31 |
2022-09-30 |
2022-10-31 |
2022-11-30 |
2022-12-31 |
| Trading Strategy |
return |
10% |
-3% |
31% |
25% |
20% |
-22% |
-11% |
10% |
15% |
-8% |
-12% |
3% |
-2% |
0% |
0% |
-29% |
0% |
-3% |
2% |
8% |
3% |
17% |
-1% |
-8% |
-1% |
-15% |
0% |
-9% |
2% |
16% |
-5% |
23% |
8% |
12% |
3% |
7% |
8% |
-8% |
14% |
21% |
19% |
-8% |
10% |
4% |
2% |
-20% |
-9% |
13% |
5% |
8% |
20% |
1% |
-14% |
0% |
4% |
10% |
-16% |
3% |
-33% |
1% |
-4% |
-8% |
7% |
-14% |
-2% |
|
volatility |
2% |
4% |
2% |
3% |
5% |
5% |
5% |
4% |
2% |
2% |
3% |
2% |
2% |
2% |
1% |
3% |
3% |
1% |
2% |
1% |
1% |
2% |
4% |
4% |
2% |
2% |
2% |
2% |
1% |
2% |
1% |
7% |
2% |
3% |
1% |
1% |
1% |
3% |
1% |
2% |
2% |
4% |
3% |
2% |
2% |
4% |
3% |
2% |
2% |
3% |
2% |
2% |
3% |
3% |
2% |
2% |
2% |
4% |
4% |
2% |
2% |
2% |
1% |
3% |
1% |
| Low Exposure Strategy |
return |
3% |
-10% |
11% |
33% |
3% |
-5% |
-11% |
-2% |
24% |
-10% |
1% |
10% |
6% |
1% |
-2% |
-28% |
7% |
4% |
3% |
9% |
10% |
9% |
-9% |
-3% |
3% |
-11% |
-6% |
-14% |
-4% |
1% |
-2% |
-10% |
2% |
2% |
-2% |
4% |
7% |
-6% |
19% |
7% |
22% |
14% |
12% |
23% |
4% |
-14% |
1% |
1% |
6% |
5% |
7% |
8% |
-16% |
-7% |
3% |
-2% |
-10% |
3% |
-18% |
14% |
7% |
13% |
0% |
-8% |
-1% |
|
volatility |
1% |
5% |
1% |
3% |
4% |
5% |
5% |
4% |
3% |
3% |
4% |
2% |
2% |
2% |
2% |
3% |
3% |
2% |
1% |
1% |
2% |
2% |
3% |
4% |
2% |
3% |
2% |
2% |
2% |
1% |
2% |
9% |
2% |
2% |
1% |
1% |
2% |
3% |
1% |
2% |
2% |
4% |
2% |
2% |
2% |
5% |
3% |
2% |
2% |
3% |
2% |
2% |
3% |
3% |
3% |
2% |
2% |
4% |
4% |
2% |
2% |
2% |
1% |
3% |
1% |
| High Exposure Strategy |
return |
2% |
-16% |
11% |
23% |
14% |
3% |
-15% |
-10% |
19% |
-16% |
-2% |
16% |
17% |
-5% |
8% |
-33% |
3% |
2% |
4% |
7% |
12% |
16% |
-5% |
-4% |
6% |
-11% |
-11% |
-12% |
-5% |
6% |
-5% |
-9% |
9% |
3% |
-2% |
5% |
9% |
-3% |
19% |
11% |
14% |
22% |
17% |
35% |
4% |
-19% |
-10% |
2% |
8% |
4% |
14% |
7% |
-6% |
-8% |
11% |
0% |
-16% |
1% |
-21% |
22% |
-1% |
7% |
1% |
-15% |
1% |
|
volatility |
2% |
5% |
2% |
4% |
5% |
5% |
5% |
4% |
3% |
3% |
4% |
2% |
2% |
2% |
3% |
4% |
4% |
2% |
1% |
1% |
2% |
2% |
3% |
4% |
2% |
3% |
2% |
2% |
2% |
2% |
2% |
9% |
2% |
3% |
1% |
1% |
2% |
3% |
1% |
2% |
2% |
5% |
3% |
3% |
2% |
5% |
3% |
2% |
2% |
3% |
2% |
2% |
3% |
3% |
3% |
2% |
2% |
4% |
4% |
3% |
3% |
2% |
1% |
4% |
1% |
| Hold BTC Strategy |
return |
10% |
-7% |
48% |
52% |
39% |
-25% |
0% |
-33% |
34% |
-19% |
-15% |
21% |
-9% |
-5% |
-4% |
-37% |
-8% |
-7% |
11% |
8% |
30% |
61% |
27% |
-7% |
-5% |
-14% |
10% |
-17% |
-5% |
30% |
-9% |
-25% |
34% |
10% |
-3% |
24% |
3% |
-7% |
28% |
43% |
47% |
14% |
36% |
30% |
-2% |
-35% |
-6% |
18% |
14% |
-7% |
40% |
-7% |
-19% |
-17% |
12% |
5% |
-17% |
-15% |
-37% |
17% |
-14% |
-3% |
5% |
-16% |
-4% |
|
volatility |
2% |
7% |
4% |
5% |
8% |
7% |
7% |
5% |
4% |
3% |
4% |
3% |
3% |
2% |
2% |
4% |
4% |
3% |
3% |
1% |
4% |
4% |
5% |
5% |
3% |
3% |
4% |
3% |
3% |
3% |
3% |
9% |
4% |
4% |
3% |
2% |
2% |
3% |
2% |
4% |
3% |
5% |
5% |
4% |
4% |
6% |
5% |
3% |
3% |
4% |
3% |
3% |
3% |
3% |
4% |
3% |
2% |
4% |
4% |
3% |
3% |
3% |
2% |
4% |
1% |